کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5091377 | 1375675 | 2007 | 16 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
The pricing of leverage products: An empirical investigation of the German market for 'long' and 'short' stock index certificates
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
This paper describes the first thorough empirical analysis of the pricing of leverage products in the German retail market. These mainly exchange-traded products with an impressive trading volume are frequently advertised as long and short futures contracts, although they are theoretically equivalent to one-sided barrier options. Issuers' daily quotes for stock index products are compared to (i) theoretical values derived from the prices of Eurex options and to (ii) boundaries obtained from semi-static superhedging strategies. For the vast majority of products, bid and ask quotes significantly exceed both theoretical values and upper hedging boundaries, thus providing almost risk-free profits for the issuers.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Banking & Finance - Volume 31, Issue 3, March 2007, Pages 735-750
Journal: Journal of Banking & Finance - Volume 31, Issue 3, March 2007, Pages 735-750
نویسندگان
Sascha Wilkens, Pavel A. Stoimenov,